A setting consisting entirely of Unsolved Mysteries, Riddles for the Ages, The Walrus Was Paul, and stuff like that. Here every random bystander has their own skeletons in the closet you'll probably never learn about, every random symbol or number, be it a fast food logo or a car plate, is an Arc Symbol or an Arc Number, and every random item you notice lying around in the street has its own convoluted history. Every now and then, it will be lampshaded that what you're seeing is just the tip of the iceberg, a small part of a giant picture, and you'll be very lucky if you get answers to even a small part of your questions.
These kinds of settings usually balance on the thin line between ordinary mystery/thriller genre and Mind Screw: too much of the former, and you get the answers, too much of the latter, and you cannot even formulate the questions. A common setting for Magical Realism and Mockstery Tale; may also overlap with World of Weirdness, Conspiracy Kitchen Sink, and Fantasy Kitchen Sink. Also a common feature of Academy of Adventure, Bazaar of the Bizarre, Museum of the Strange and Unusual, and Island of Mystery.
- In Mulholland Dr., the Hollywood is presented in this fashion: it has mafia, mysterious Men in Black on limos, an enigmatic phone call chain involving unspecified people from different parts of LA, weird McGuffins like a strangely shaped blue key and a black book with phone numbers, supernatural entities like the Ambiguously Human Cowboy and a creepy bum living in the backyard of a diner, and much more... Probably subverted, since the ending implies that it was All Just a Dream of a failed actress who ordered a hit on her successful friend and lover out of envy and jealousy, and the overall feel of mystery and paranoia is due to her subconscious feel of guilt and fear of being caught. Or Was It a Dream?
- The neo-Giallo thriller The Strange Colour Of Your Bodys Tears has an Apartment Building of Mysteries. The protagonist, a businessman living in a swanky Art Nouveau style apartment complex, investigates the disappearance of his wife, and learns a number of mysterious stories from his neighbors that may or may not be related; the story has a very dreamlike quality, and these side plotlines are never resolved.
- Parodied and deconstructed in Under The Silver Lake: the protagonist Sam sees Hollywood and Los Angeles as this, especially after he reads a zine about urban legends called "Under the Silver Lake" and meets its Conspiracy Theorist author. Sam encounters a number of weird characters, including a King of the Homeless and a Succubus-like creature in an owl mask who kills men in their sleep, and finds hidden messages in pop songs, video game magazines, and cereal box images. However, there are some implications that he may be going off his rails, and at least some of this stuff is happening only in his head.
- A Series of Unfortunate Events is all about this. The author's whole point is that "everyone has their own stories, and you cannot know everything". Lampshaded in the seventh chapter of Penultimate Peril, when the author mentions a number of random people involved in random shady goings-on, and in the ninth chapter of The End, when the protagonists find a lot of different objects brought to the sea shore, each of which has its own story, and is mysterious in its own way.
- Illuminatus! seasons this with Conspiracy Kitchen Sink. In fact, the main storyline does get resolved, but there are lots of secondary storylines involving various conspiracies and supernatural stuff, which are basically left hanging.
- Foucault's Pendulum parodies and savagely deconstructs both this trope and Conspiracy Kitchen Sink. The protagonists make up their own parody conspiracy theory to make fun of the actual ones; they end up believing in it themselves, and seeing the real world as this trope; lampshaded in the museum scene, when Causabon sees hidden mystical meaning in nearly every exhibit.
- In The Gray House by Mariam Petrosyan, a number of students of the titular Gray House (a boarding school) are able to visit the Underside of the House, a parallel world which is literally the World of Mysteries: a surreal, Kafkaesque realm host to all sorts of fairytale/Magical Realist and detective/thriller plots, with multiple references to the pop culture of the 1990s. Because of their superstitions students usually do not discuss in detail what happened to them in the Underside, only giving some subtle hints, which makes it even more mysterious.
- The third season of Twin Peaks has pretty strong vibes of this. The first two were weird but more-or-less comprehensible Paranormal Investigation series, but the third one took the weirdness Up to Eleven. Let's see: we have obscure mafia plots involving Cooper's evil doppelganger, a sinister Eldritch Abomination called Judy represented by a black symbol of a circle with two "horns", a number of otherworldly locations and characters including the Convenience Store, The Dutchman's, and an alternate world where Laura Palmer is still alive and works as a waitress in a cafe called "Judy's"... There is a possibility of a fourth season, so some of that may be resolved, but knowing Lynch, it is more likely to get even worse.
- The entire universe, and even multiverse, of the SCP Foundation is one of these, each mysterious entity/object/creature/setting/phenomenon being classified as an SCP. The titular organization in question is dedicated to studying, containing, and controlling the SCPs, as well as keeping them and the public safe from each other. The setting even has several Worlds of Mystery within itself, as specific SCPs.
- The titular town of Welcome to Night Vale is a Fantasy Kitchen Sink crammed into a little desert town. For most of the residents, however, the mysteries and odd phenomena are just a part of life. The people Night Vale IS a World of Mystery for are outsiders, such as the listeners, and in-universe, new-in-town Carlos.
- The titular town and environs of Gravity Falls qualifies for this. It's enforced by the Society of the Blind Eye keeping things secret from the townsfolk, and caused by the town having a 'Weirdness Magnetism' that literally attracts bizarre events, people, creatures and phenomena to the area.
- The city of Hillwood from Hey Arnold! is definitely this. The city is a treasure trove of urban legends (like the Haunted Train and the Headless Cabbie) and just plain weirdness (like Arnold's neighbor Mr. Smith who is implied to be a spy). Though some of the legends, like the Monkeyman, are given non-mystical explanations, most of them remain unresolved.
- In Scooby-Doo! Mystery Incorporated, the town of Crystal Cove is this. It was built above a buried crystal sarcophagus containing an otherworldy Evil Entity, whose influence made people commit crimes and dress up as ghosts and monsters using increasingly outlandish means and technologies. After Mystery Inc. defeated the Entity, the town was brought to normal.